"I can think of a lot of ways it might hurt me, actually." Particularly now, with more of what Lucifer is bared to him, all the power and energy compacted into that body he's wearing. He has no idea what a conflict between them would look like on this plane or on the next, but he's fairly certain he doesn't want to find out. "A lot of ways it could hurt other people. And I'm not about to risk that."

Hence - safer on the lower plane. Maybe Daniel was always meant be this, to become this, but it won't mean he'll ever relinquish what he is at his core. Solidly, steadfastly moral, and unwilling to renounce that even when it was openly discouraged and despised.